We made a very simple R file that historically gathers the period before and after the US elections. The inexperienced user has the ability to set the tickers of asset she wants to study and the look-back and look-forward periods. Most of the functions are wrapped up and can be found in a separate file here http://www.quantf.com/download2/US-elections-procs.R , so that all experienced users can open and edit the source file.

Looking at SP-500, NASDAQ-100 and RUSSELL-2000 graphs we see that in 1980, 1984, 1988, 1992, 2000, 2004 and 2008 there was rise in the market some weeks before the elections (something similar happened last week due to the QE Fed announcement). Then we have an decrease and as we approach to the elections the market goes up again. A similar decrease started last Friday at the end of day and continued on Monday and Tuesday.

Bottomline: pre-elections periods can be tricky so have it in mind and be prepared!

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